JANUARY 2017
BUSINESS MODEL
4
MIFID TRADE REPORTING
4
MARKET MAKER QUOTING
4
MARKET DATA DISTRIBUTION
4
PREFACE
5
1.1.
PURPOSE OF DOCUMENT
5
1.2.
DOCUMENT AUDIENCE
5
1.3.
STRUCTURE OF DOCUMENT
5
TRADING MODELS
6
2.1
BOARDS
6
2.2
IDENTIFYING A SECBOARD USING FIX
7
SESSION LEVEL
8
3.1
SESSION MESSAGES
8
3.2
USER ID (COMPID)
8
3.3
FIX ADDRESSING TAGS NOT SUPPORTED BY NEX EXCHANGE
9
3.4
FAILOVER
9
APPLICATION LEVEL
10
4.1
10
MIFID TRADE REPORTING
KEY
12
GREY = NOT APPLICABLE
12
4.1.1. TRADE CAPTURE REPORT
13
4.1.1.1
TRADE PRICE CONDITIONS
15
4.1.1.2
DEFERRED PUBLICATION
16
4.1.1.3
PARTIES BLOCK
17
ANONYMOUS SYSTEMATIC INTERNALISER
17
4.1.2 TRADE CANCELLATION
18
4.1.3 TRADE AMENDMENTS
18
4.1.4
TRADE CAPTURE REPORT ACKNOWLEDGMENT
19
4.2.
MARKET MAKER QUOTING
20
4.2.1.
MASS QUOTE
21
4.2.2.
MASS QUOTE ACKNOWLEDGEMENT
22
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 2
4.2.3.
QUOTE CANCEL
23
4.2.4.
QUOTE STATUS REPORT
24
MARKET DATA
25
4.3.1.
NEWS BROADCAST
25
4.3.1.1.
NEWS
25
4.3.2.
MARKET DATA FEED
26
4.3.2.1.
MARKET DATA REQUEST
26
4.3.2.3.
MARKETDATAREQUESTSNAPSHOTFULLREFRESH
27
4.3.2.4.
MARKETDATAINCREMENTALREFRESH
28
4.3.3.
TRADE REPORT FEED
29
4.3.3.1.
TRADE CAPTURE REPORT REQUEST
29
4.3.3.2.
TRADE CAPTURE REPORT REQUEST ACKNOWLEDGEMENT
30
4.3.3.3.
TRADE CAPTURE REPORT – OUTBOUND MESSAGE FOR SUBSCRIPTION
31
MESSAGE THROTTLING
34
APPENDIX A: SUPPORTED NEWS FORMATS
35
APPENDIX B: MARKET TIMETABLE
37
APPENDIX C: STATIC DATA FILES
38
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 3
This section has been added to explicitly state the trading and reporting models that the NEX Exchange
platform supports. For external participants, these models are supported by the FIX protocol described
within this document.
Trading Members may register and report trades executed outside of the NEX Exchange trading system in compliance with
the EU Markets in Financial Instruments Directive (MiFID).
Members may:

Register as market makers in one or more stocks on the on-exchange boards. Such registrations oblige the market
maker to publish firm, continuous, two-way quotes in at least EMS for all securities they are registered in during
the mandatory quote period for the particular securities.

Register as a Systematic Internaliser to quote in one or more stocks on the CCC/NEX Exchange-ofl boards.
Such registrations allow the member to publish quotes for display purposes only.
Members may:

Subscribe to receive market data from NEX Exchange.
Trading (whether directly or via hittable quotes)
on the platform is currently not supported.
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 4
1.1.
Purpose of Document
This document provides an introduction to the FIX API. It is provided by NEX Exchange for market participants wishing to
develop applications that will interface with the FIX gateway. The document provides technical guidance on the FIX session
level messages used to connect to NEX Exchange and the application level messages including a breakdown of the FIX
tags and values supported by NEX Exchange. Protocol standard.
1.2.
Document Audience
The FIX API interface is based on version 4.4 of the FIX. This is a reference document for technical staff among
NEX Exchange participants that wish to develop software that can communicate with the NEX Exchange Trading
System using the FIX gateway interface.
This Rules of Engagement document assumes that the reader has a solid working knowledge of the FIX Protocol and a
reasonable familiarity with the FIX 4.4 version.
1.3.
Structure of Document
The document structure is as follows:

Overview of trading models and services available via FIX

Supported session level messages

Supported application level messages with detailed tables on each FIX message
Description
Reference
FIX 4.4 Specification
http://fixprotocol.org/specifications/fix4.4spec
NEX Exchange Trading Rules
See www.NEX Exchange.com for latest version
NEX Exchange Connectivity
Document
See www.NEX Exchange.com for latest version
Country ISO codes
http://www.iso.org/iso/english_country_names_and_code_elements
Various csv files
Static data available via the website – see Appendix C Static Data Files
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 5
Securities on NEX Exchange may be listed on the NEX Exchange Main Board, the NEX Exchange Growth Market or the NEX Exchange Secondary
Market. Transaction Interfaces are provided for Market Maker Quoting and MiFID Trade Reporting. Additionally, market participants are able to
obtain information on market news.
2.1 Boards
For each NEX Exchange security there are several possible trading boards that specify:




Whether the trade is on-Exchange or off-Exchange
Whether the security is liquid or non-liquid according to the CESR
The currency
Exchange – NEX Exchange
All Boards
Currencies
(ISO – GBX)
On Exchange
Off Exchange
A security can be traded in one currency and be on a
maximum of one board for that currency from each of the
groups (highlighted):
On Exchange
Off Exchange
Categorisation of boards is as follows:
Category
Description
Mnemonic
On-Exchange
NEX Exchange securities traded on-Exchange
ex
Off-Exchange
NEX Exchange securities traded off-Exchange
of
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(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 6
The naming convention of a board consists of the ISO currency code or GBX as applicable, exchange (NEX Exchange),
board mnemonic and whether the security is defined as liquid or non-liquid by CESR:
CCC/exch-cal
ISO 4217 +
GBX currency
Exchange:
Catergory:
Liquidity:
NEX Exchange
ex
l
of
n
Code
For example, GBP/NEX Exchange-exl describes the on-exchange board for securities classed as liquid by CESR trading in
pounds sterling. A list of boards currently used by NEX Exchange can be found at www.nexexchange.com .
The NEX Exchange board is specified within FIX by using the TradingSessionID <336>, for example <336>=GBX/NEX Exchangeexn.
A board associated with a specific security is known as a SecBoard. It is therefore a combination of security and
the relevant board on which it trades. A SecBoard list can be found at www.nexechange.com .
A full list of static data available via the website can be found in Appendix C Static Data Files.
2.2 Identifying a SecBoard using FIX
A SecBoard is communicated within FIX messages using the fields listed below:
Tag Number
Tag Name
Supported Value
Description
55
Symbol
[N/A]
The Symbol field is not a requirement for NEX Exchange as we
only support ISINs. Participants should use a value of “[N/A]” as
this field is not validated.
48
SecurityID
ISIN
The ISIN of a security traded on the Board specified in
TradingSessionID.
22
SecurityIDSource
4 - ISIN
NEX Exchange only supports identification of securities using
ISINs.
TradingSessionID
CCC/NEX Exchange-exn The board the security specified in SecurityID is traded on. The
CCC/NEX Exchange -exl CCC should be replaced with the ISO currency code or GBX as
CCC/NEX Exchange -ofn applicable.
CCC/NEX Exchange -ofl
CCC/NEX Exchange -dxi
336
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 7
NEX Exchange support a standard FIX 4.4 session. At this time there are no unique requirements.
3.1 Session Messages
NEX Exchange supports the following session level FIX messages:
Message
Msg Type
Direction
Logon
A
Incoming/Outbound
Heartbeat
0
Incoming/Outbound
TestRequest
1
Incoming/Outbound
ResendRequest
2
Incoming/Outbound
SequenceReset
3
Incoming/Outbound
Reject
4
Outbound ONLY
Logout
5
Incoming/Outbound
3.2 User ID (CompID)
An NEX Exchange trading system user ID is now associated with a FIX Session CompID. Each NEX Exchange user ID is
associated with an NEX Exchange member ID, therefore participants with 2 NEX Exchange member IDs must have 2 FIX
sessions for example.
Participant connections are tied to a specific IP address and port number combination – no password authentication is
needed.
The following Logon message is supported:
Tag
Name
StandardHeader
Req
Data Type
Desc
Supported Values
MsgType = A
Y
98
EncryptMethod
Y
Int
108
HeartbtInt
Y
Int
Always unencrypted
0
Same value used by
both sides
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(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 8
StandardTrailer
Y
3.3 FIX Addressing Tags NOT Supported by NEX Exchange
The FIX identification fields shown below are not supported and should not be used at present. If they are sent on
messages inbound to NEX Exchange, they will not be returned on subsequent outbound messages.
Tag number
Tag name
50
SenderSubID
142
SenderLocationID
57
TargetSubID
143
TargetLocationID
115
OnBehalfOfCompID
116
OnBehalfOfSubID
144
OnBehalfOfLocationID
128
DeliverToCompID
129
DeliverToSubID
145
DeliverToLocationID
3.4 Failover
NEX Exchange provides a primary and a secondary FIX gateway. Each FIX gateway has the capacity to support all
FIX connections in the event of a failure. In the event of a loss of the primary FIX gateway, the market participant must connect
to the secondary FIX gateway.
When connecting to the NEX Exchange secondary FIX gateway, participants should note that the state of a FIX session is
NOT shared between the two gateways.
When an unsolicited disconnect on the Primary Gateway occurs Participants should wait 30 seconds before attempting to
connect to the Secondary Gateway (during this time they may wish to try and reconnect to the Primary in the case of a
temporary line glitch). When attempting to connect to the secondary the client should set their sequence number to 1 and
ResetSeqNumFlag (141) to Y. If the login request to the secondary is rejected the Participant should wait 5 seconds before
trying again. If the second login attempt fails the Participant should wait another 5 seconds before retrying – if this fails the
Participant should contact the NEX Exchange Service Desk.
Market makers must note that when a FIX session is disconnected quotes will automatically be withdrawn, and
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 9
therefore need to be re-submitted.
Attempts to connect to the secondary FIX gateway outside of a failover scenario will be refused.
The application level messages consist of FIX 4.4 with NEX Exchange custom messages. The application level tags
are based on FIX 4.4.
NEX Exchange application level messages are split up into 3 categories which are:

MiFID Trade Reporting

Market Maker Quoting

Market Data
4.1 MiFID Trade Reporting
Trading Members may:

Register and report trades executed outside of the NEX Exchange trading system in compliance
with the EU Markets in Financial Instruments Directive (MiFID).
NEX Exchange supports the trade capture message to submit trade reports. A trade capture report acknowledgement is
then sent from NEX Exchange. To amend or cancel a trade report the same message with different flags is used.
Typical message flows are shown in the following diagram:
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 10
Every trade report submission must carry a trade type and trade sub type where applicable used in conjunction with the
appropriate board.
The following illustrates the NEX Exchange boards that are applicable to specific trade types:
Trade Type
Optional Trade Subtype
Venue / Board Mnemonic
Anonymous or Recognised
Systematic
O – on-Exchange ordinary trade
N – on-Exchange negotiated trade
M – market-maker to market- maker
trade
X – cross trade
B – broker to broker trade R – riskless
principle
P – portfolio trade
Executing on NEX
Exchange
exn / exl / dxi
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 11
L – on-Exchange large in scale trade
Z – off exchange trade
exn / exl / dxi
n/a
n/a
ofn / ofl / dxi
Key
Grey = not applicable
Participants must note that if the counterparty of a trade is a market maker, it is the market maker that must report the
trade. If both counterparties to the trade are market makers, the selling market maker must report the trade. Further
details of this are provided in the NEX Exchange Trading Rules document.
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 12
4.1.1. Trade Capture Report
The TradeCaptureReport FIX message which is used to submit a trade report is illustrated below.
Tag
Name
StandardHeader
Req
Data Type
Desc
Y
MsgType = AE
571
TradeReportID
Y
String
User-generated reference for this
transaction. This must be unique
within at the least the last five
business days and a maximum of 30
characters
487
TradeReportTransType
Y
int
Identifies Trade Report message
transaction type
Type/subtype of trade. Refer to the
828
TrdType
int
TrdType and
TrdSubType mapping above.
829
TrdSubType
int
5997
NoTradePriceConditions
NumInGroup
�
5998
1134
881
55
TradePriceCondition
ReportedPxDiff
Secondary TradeReportRefID
Symbol
Absence of trade type and
TrdSubType defaults to a Z Trade
Supported Values
0 = New
1 = Cancel
2 = Replace
0 = Regular Trade (O)
22 = Privately Negotiated
Trade (N)
38 = Large in scale (L)
15 = B
18 = M
22 = P
26 = R
37 = X
The number of trade price conditions
int
Indicates the conditions under which
0 = CD
the bargain was struck.
1 = CR
2 = XD
If no price condition has been
3 = XR
provided but the ReportedPxDiff has
4 = CC
been set to Y then the price condition
5 = CP
will default to D trade price condition.
6 = XC
This means trade subject to
7 = XP
conditions other than current market
8 = CS
price.
9 = CB
10 = SP
Please refer to the Trade Price
11 = XB
Conditions section for further details.
12 = GD
Boolean
Indicator to report a price that is
different from the market price. If set
YN
to Y and no price conditions have
been set, then the Price condition will
default to D.
String
When amending/cancelling a trade
report it is the NEX Exchangegenerated identifier for the trade
being amended.
String
Not validated as NEX Exchange uses
ISIN to identify the security. Should be [N/A]
set to {N/A]
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(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 13
Tag
Name
Req
Data Type
Desc
48
SecurityID
Y
String
The ISIN of the security being
referenced
22
SecurityIDSource
Y
String
This field must always be set to the
IDSource for ISIN ("4")
32
LastQty
Y
Qty
The number of securities agreed to
be traded
31
LastPx
Y
Price
The price at which the trade was
agreed in the currency specified in
the board (336)
Supported Values
4 = ISIN
For equities this is an
integer representing the
number of shares
bought/sold.(eg 5,000
bought at GBX123.5 would
equate to a consideration of
£6,175)
For Fixed Income this is the
number (may include
decimal places) bought/sold
but priced in lots dealt (eg
qty 5,000 of a bond bought
at GBX123.5 (per nominal
value 100) would have a
consideration of £61.50)
For CFDs this is an integer
representing the total
quantity (eg qty 5,000 of a
CFD bought at GBX123.5
(with standard contract size
of 100) would have a
consideration of
£6,175)
75
TradeDate
Y
LocalMktDate
60
TransactTime
Y
UTCTimestamp
This is ignored by NEX Exchange.
Date information is taken from tag
<60>
Date and time when the transaction
represented by this Trade Capture
Report occurred
For equities this is the
settlement date.
64
SettlDate
1390
TradePublishIndicator
552
NoSides
LocalMktDate
The date on which the trade is
agreed to settle
int
Immediate trade publication
indicator. Refer to the Deferred
Publication section for more details
Y
NumInGroup
Number of Side repeating group
instances
N
For CFDs this is the
contract expiry date/optional
if open- ended contract
1 = Publish immediately
1 = One Side
�
54
Side
Y
char
Whether this trade was a buy or sell
1 = Buy
(with respect to the reporting
2 = Sell
member)
�
37
OrderID
Y
String
Should be set to {N/A]
[N/A]
�
453
NoPartyIDs
Y
NumInGroup
Number of PartyID (448),
PartyIDSource (447), and
2
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(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 14
Tag
Name
Req
Data Type
Desc
Supported Values
PartyRole (452) entries. If reporting a
trade this should be value of 2
� 448
� 447
� 452
PartyID
PartyIDSource
PartyRole
�
528
OrderCapacity
�
336
TradingSessionID
StandardTrailer
Y
Y
Y
Y
String
Used to identify source of PartyID.
Required if PartyIDSource is
specified. Required if NoPartyIDs >
0. Refer to the parties block section
in this chapter for detailed
information
char
Used to identify class source of
PartyID value (e.g. BIC). Required if
B = BIC G = MIC
PartyID is specified. Refer to the
parties block section in this chapter
for detailed information
int
Identifies the type of PartyID (e.g.
17 = Contra Firm
Executing Broker). Required if
73 = Executing Venue 63 =
NoPartyIDs > 0. Refer to the parties
Systematic Internaliser
block section in this chapter for
detailed information.
char
The capacity in which the reporting
member is trading, principal (P) or
agent (A).
String
The identifier of the board to which
the trade report is being submitted.
A = Agency P = Principal
CCC/NEX Exchange-exn
CCC/NEX Exchange-exl
CCC/NEX Exchange-ofn
CCC/NEX Exchange-ofl
Y
An acknowledgement (AR) message should then be received whether or not the trade submission has been
successful.
4.1.1.1
Trade Price Conditions
If the trade price in LastPx <31> differed from the prevailing market price at time of execution, then the trade
must be identified as having a price difference by setting the ReportedPxDiff <1134>=”Y”.
If one or more specific trade conditions existed that caused the price difference then these should be specified using
TheTradePriceConditions <5998> Repeating group.
NoTradePriceConditions <5997> is set to the number of trade price conditions that caused the price difference. There is
one TradePriceCondition <5998> provided for each applicable trade price condition.
Note that if you have indicated that there is a ReportedPxDiff <1134>=”Y” but have not sent a TradePriceCondition
<5998> then the Price Condition will default to D.
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(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 15
The following outlines the trading price conditions.
FIX value <5998> Mnemonic
Description
0
CD
Special cum dividend
1
CR
Special cum rights
2
XD
Special ex dividend
3
XR
Special ex rights
4
CC
Special cum coupon
5
CP
Special cum capital repayments
6
XC
Special ex coupon
7
XP
Special ex capital repayments
8
CS
Cash settlement
9
CB
Special cum bonus
4.1.1.2
Deferred Publication
The NEX Exchange trading system will automatically delay the publication of trades that qualify for deferred publication
under MiFID. The duration of the delay is calculated using the ADT value for the relevant security and the consideration.
A trade qualifies for deferred publication if:

The consideration of the trade meets the size criteria as per the NEX Exchange Trading Rules

The transaction is between a member dealing on own account with a client:
o
o
OrderCapacity <528> must be P, and
TrdSubType <829> must not be 18 (Marketmaker to (Cross Trade), 26 (Riskless Principal).Marketmaker),
37.
Note: NEX Exchange will use the latest updates on ADT/SMS values from the CESR website and daily currency updates
from the European Central website in its calculations.
Reporting members may instruct the trading system to i mmediately publish trades that would otherwise be delayed
by setting TradePublishIndicator <1390> to “1”.
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 16
4.1.1.3
Parties Block
The trade capture report states that the NoPartyIDs <453> when submitting a trade should always be set to the value of 2.
This is because the first repeating group should identify the counterparty and the second the venue. The values used to
identify the counterparty can be found below:
Field
Value
Party ID <448>
If the counterparty is an NEX Exchange member send the NEX Exchange firm ID
If the counterparty is an investment firm that is an LSE member send the LSE member
ID for the member
If the counterparty is an investment firm that is neither an NEX Exchange nor LSE
member send the Bank Identifier Code (BIC, ISO 9362)
If the counterparty/client is not an investment firm, the client should be identified
using the code “CLIENT”
Party ID Source <447>
B = BIC Code
Party Role <452>
17 = ContraFirm
The party ID sent depends on whether the counterparty is a member or not.
The trade must occur on one of the following venues:

Anonymous Systematic Internaliser

Over the Counter

Recognised Systematic Internaliser

NEX Exchange
Note that the above venues are only applicable to certain NEX Exchange boards. The values used to identify the venue are
illustrated below:
Anonymous Systematic Internaliser
Field
Value
Party ID <448>
SI
Party ID Source <447>
B = BIC Code
Party Role <452>
73 = Executing Venue
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(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 17
OTC (Over the Counter)
Field
Value
Party ID <448>
OTC
Party ID Source <447>
B = BIC Code
Party Role <452>
73 = Executing Venue
Recognised Systemic Internaliser
Field
Value
Party ID <448>
Bank Identifier Code (BIC, ISO 9362)
Party ID Source <447>
B = BIC Code
Party Role <452>
63 = Systemic Internaliser
Executed on NEX Exchange
Field
Value
Party ID <448>
“NEX Exchange”
Party ID Source <447>
G = MIC
Party Role <452>
73 = Executing Venue
4.1.2 Trade Cancellation
Trades on the NEX Exchange trading system may be cancelled by the user for up to five business days from the day on
which the trade was reported. After this time the NEX Exchange regulation department must be contacted in order to
cancel the trade.
Trade cancellations require a TradeCaptureReport message to be sent with the TradeReportTrans Type <487> =”1” (Cancel)
and the SecondaryTradeReportRefID <881> set to the trading system generated identifier (SecondaryTradeReport ID
<818>) that was returned in the (TradeCaptureReportAck) message in response to the original trade submitted.
A TradeCaptureReportAcknowledgement message will be returned by the trading system that indicates whether the
cancellation request was successful.
4.1.3 Trade Amendments
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(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 18
Trades on the trading system may be amended by the user for up to five business days from the day on which the trade
was reported. After this time the NEX Exchange regulation department must be contacted to amend the trade.
Trades are amended by sending a Trade Capture Report message with the required amendments,
TradeReportTransType <487> = “2” (Replace) and the SecondaryTradeReportRefID <881> populated with the trading
system trade identifier (SecondaryTrade ReportID <818>). The system will then:

cancel the original trade and

issue a new trade report with a new trading system-generated trade identifier
A TradeCaptureReportAcknowledgement message will be returned by the trading system that will indicate whether the
amendment request was successful.
4.1.4
Trade Capture Report Acknowledgment
The TradeCaptureReportAcknowledgement message is sent as a response to the TradeCaptureReport new, cancel and
amendment messages submitted by NEX Exchange members to report trades.
Tag
Name
Req
StandardHeader
Y
571
TradeReportID
Y
487
TradeReportTransType
Data Type
Desc
Supported Values
MsgType = AR
String
Unique identifier for the Trade Capture
Report
Int
Identifies Trade Report message
transaction type
828
TrdType
Int
829
TrdSubType
Int
939
TrdRptStatus
Int
Status of Trade Report
751
TradeReportRejectReason
Int
Reason for Rejection of Trade Report
818
SecondaryTradeReportID
String
NEX Exchange Trade Report ID
48
SecurityID
Y
String
The ISIN of the security being
referenced
22
SecurityIDSource
Y
String
This field must always be set to the
IDSource for ISIN ("4")
0 = New
1 = Cancel
2 = Replace
0 = Regular Trade (O)
22 = Privately
Negotiated Trade (N)
38 = Large in scale (L)
15 = B
18 = M
22 = P
26 = R
37 = X
0 = Accepted
1 = Rejected
2 = Unknown
Instrument
4 Invalid Trade Type 99
= Other
100 Duplicate
TradeReportID
4 = ISIN
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 19
60
TransactTime
UTCTimestamp
Time ACK was issued by matching
system, trading system or counterparty
58
Text
String
May be used by the executing market to
record any execution details that are
particular to that market
String
Echoed back from the trade capture
report
336
TradingSessionID
StandardTrailer
4.2.
Y
CCC/NEX Exchange-exn
CCC/NEX Exchange-exl
CCC/NEX Exchange-ofn
CCC/NEX Exchange-ofl
Y
Market Maker Quoting
Members may:

Register as market makers in one or more stocks on the on-exchange boards. Such registrations oblige the market
maker to publish firm, continuous, two-way quotes in at least EMS for all securities they are registered in
during the mandatory quote period for the particular securities.

Register as a Systematic Internaliser to quote in one or more stocks on the CCC/NEX Exchange-ofl boards.
Display purposes only. Such registrations allow the member to publish quotes for NEX Exchange supports the
mass quote message to submit quotes. A quote acknowledgement is then sent from NEX Exchange. To
amend a quote the same message should be used, which will automatically replace the existing quote.
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 20
4.2.1.
Mass Quote
The MassQuote message is used by NEX Exchange market makers to submit two sided quotes into the market. Two sided
quotes for multiple securities can be submitted at the same time. The trading system validates each Bid and Ask and if
either is invalid, the entire quote for that security is rejected.
Tag
Name
StandardHeader
Req
Data Type
Y
Y
Desc
Supported Values
MsgType = i (lowercase)
117
QuoteID
String
301
QuoteResponseLevel
296
NoQuoteSets
Y
NumInGroup
Y
String
Int
�
302
QuoteSetID
�
304
TotNoQuoteEntries
Int
�
893
LastFragment
Boolean
�
295
NoQuoteEntries
Y
NumInGroup
� � 299
QuoteEntryID
Y
String
� � 55
Symbol
� � 48
SecurityID
� � 22
The QuoteID is required to identify the
Mass Quote and will be used as a reference
on the response Mass Quote
Acknowledgement message. The field will
be prepended to the QuoteEntryID as the
internal reference. A maximum of 50
characters is supported.
If omitted then the quotes will be
1 = Acknowledge
acknowledged. If this field is provided then
rejected quotes only
only errors will be acknowledged.
NEX Exchange currently supports 1 quote
1
set. Always set to 1
Unique identifier for the quote set Maximum of 16 characters
This is not validated
by NEX Exchange
N = Message is
continued
Y = Last message
This is not validated
by NEX Exchange
String
Not validated as NEX Exchange uses ISIN to
[N/A]
identify the security
Y
String
The ISIN of the security being referenced
SecurityIDSource
Y
String
This field must always be set to the
IDSource for ISIN ("4")
� � 132
BidPx
Y
Price
� � 133
OfferPx
Y
Price
� � 134
BidSize
Y
Qty
� � 135
OfferSize
Y
Qty
� � 60
TransactTime
� � 336
TradingSessionID
StandardTrailer
4 = ISIN
UTCTimestamp
Y
Y
String
CCC/NEX Exchangeexn CCC/NEX
Exchange-exl CCC/NEX
Exchange-ofn
CCC/NEX Exchange-ofl
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 21
4.2.2.
Mass Quote Acknowledgement
MassQuoteAcknowledgement message is sent in response to a MassQuote message.
In the event of a reject the NEX Exchange trading system returns the reject reason in tag <58> with any individual quote
detail in tag <368>.
Tag
Name
Data Type
Desc
Supported Values
StandardHeader
Y
MsgType = b (lowercase)
117
Y String
Required when acknowledgment is in
response to a Quote message
Y int
0 = Accepted 1 =
Cancel for SecurityID
4 = Cancel All 5 =
Status of the mass quote acknowledgement Rejected
100 = Partially
Accepted
QuoteID
297
QuoteStatus
300
QuoteRejectReason
int
Reason Quote was rejected
301
QuoteResponseLevel
int
Level of Response requested from receiver
1 = Acknowledge
of quote messages. Echoed back to the
rejected quotes only
counterparty.
58
Text
String
Description of error message if failed
296
NoQuoteSets
NumInGroup
99 = Other
�
302
QuoteSetID
String
�
304
TotNoQuoteEntries
int
�
893
LastFragment
Boolean
�
295
NoQuoteEntries
NumInGroup
� 299
QuoteEntryID
String
� 55
Symbol
String
Will always be set to "[N/A]"
� 48
SecurityID
String
The ISIN of the security being referenced
� 22
SecurityIDSource
String
This field will always be set to the IDSource
4 = ISIN
for ISIN ("4")
� 132
BidPx
Price
� 133
OfferPx
Price
� 134
BidSize
Qty
� 135
OfferSize
Qty
� 60
TransactTime
UTCTimestamp
� 336
TradingSessionID
Y String
N = Message is
continued
Y = Last message
[N/A]
Time
The identifier of the board to which the
price quote is being submitted.
CCC/NEX Exchangeexn CCC/NEX
Exchange-exl CCC/NEX
Exchange-ofn
CCC/NEX Exchange-ofl
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 22
Tag
Name
Data Type
Desc
Supported Values
5 = Rejected
100 = Bid Rejected,
Ask Accepted
101 = Ask Rejected,
Bid Accepted
� 368
QuoteEntryRejectReason
int
0 = Accepted
Y
StandardTrailer
� 1167 QuoteEntryStatus
4.2.3.
int
1 = Unknown
SecurityID
2 = Exchange Closed 4
= Too late to enter 8 =
Invalid Price
9 = Not authorised 99
= Other
112 = Invalid Quantity
115 = Invalid due to
market maker
protection
116 = Security
suspended 117 =
Security withdrawn
Quote Cancel
The QuoteCancel message is used by an originator of quotes to cancel quotes.
Tag
Name
Req
Data Type
StandardHeader
Y
117
QuoteID
Y
String
298
QuoteCancelType
Y
int
Y
Desc
Supported Values
MsgType = Z
336
TradingSessionID
295
NoQuoteEntries
NumInGroup
Identifies the type of Quote Cancel request.
1 = Cxl Sym
4 = Cancel all quotes
CCC/NEX Exchangeexn
CCC/NEX
Exchange
-exl
CCC/NEX Exchangeofn
CCC/NEX
Exchange-ofl
String
�
55
Symbol
String
Not validated as NEX Exchange uses ISIN to
[N/A]
identify the security
�
48
SecurityID
String
The ISIN of the security being referenced
�
22
SecurityIDSource
String
This field must always be set to the
IDSource for ISIN ("4")
StandardTrailer
4 = ISIN
Y
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 23
4.2.4.
Quote Status Report
The QuoteStatusReport message is sent as a response to a QuoteCancel.
Tag
Name
Req
StandardHeader
Y
117
Y
QuoteID
336
TradingSessionID
55
Y
Data Type
Desc
MsgType = AI
String
String
Echoed back from the mass quote
Symbol
String
Will always be set to "[N/A]"
48
SecurityID
String
The ISIN of the security being referenced
22
SecurityIDSource
String
This field must always be set to the
IDSource for ISIN ("4")
54
Side
Char
60
TransactTime
UTCTimestamp
CCC/NEX Exchangeexn CCC/NEX
Exchange-exl CCC/NEX
Exchange-ofn
CCC/NEX
Exchange-ofl
[N/A]
4 = ISIN
This field is never used
by NEX Exchange.
297
QuoteStatus
int
Quote Status
58
Text
String
Description of error message if failed
StandardTrailer
Supported Values
0 = Accepted
5 = Rejected
100 = Partially
Accepted (note – only
reason for rejection is
no active quote found
- no indication of
which failed is given as
outcome will be that
all active Quotes
covered will have
been cancelled
anyway)
Y
Note: at end of Open period any open quotes will be pulled by the system (unless the participant is configured
otherwise) and will result in a series of Quote Status Report messages.
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 24
4.3.1.
News Broadcast
News provides information on securities and the market using a News message. Participants do not need to request
subscription to News messages.
4.3.1.1.
News
This is an outbound message provided automatically:
Tag
Name
StandardHeader
Req
Data Type
Y
Supported Values
MsgType = B
42
OrigTime
148
Headline
146
NoRelatedSym
NumInGroup
Y
Desc
UTCTimestamp
Time of message origination
String
Specifies the headline text
�
55
Symbol
String
Will always be set to "[N/A]"
�
48
SecurityID
String
The ISIN of the security being
referenced
�
22
SecurityIDSource
String
This field must always be set to the
4 = ISIN
IDSource for ISIN ("4")
33
�
58
NoLinesOfText
Y
NumInGroup
Identifies number of lines of text
body. This is always set as 2
Text
Y
String
News type is stated in one text and
the news description is stated in the
other.
149
URLLink
String
20311
NewsStatus
Int
StandardTrailer
[N/A]
2
A URL (Uniform Resource Locator)
link to additional information (i.e.
http://www.XYZ.com/research.html
)
News broadcast status
1 = Sent
Y
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 25
4.3.2.
Market Data Feed
The Market Data Feed messages allow participants to receive real-time updates on two- way pricing. Participants must
request subscription to Market Data Feed messages.
4.3.2.1.
Tag
Market Data Request
Name
Req
Y
StandardHeader
262
Data Type
MDReqID
Y
String
SubscriptionRequestType
264
MarketDepth
Y
Integer
NoMDEntryTypes
Y
Integer
269
Char
MDEntryType
�
Y
146
�
336
NoRelatedSym
TradingSessionID
Y
Y
Supported Values
MsgType = V
263
267
Y
Desc
Unique identifier
Note: this value is not
interpreted by the platform
when unsubscribing. The list
of securities/boards is used
to determine which
subscriptions to cancel.
SubcriptionRequestType indicates to
the other party what type of response
is expected. A snapshot request only 0 = Snapshot
asks for current information. A
1 = Snapshot + Updates
subscribe request asks for updates (Subscribe)
as the status changes. Unsubscribe 2 = Unsubscribe
will cancel any future update
messages from the counter party.
1
Number of MDEntryType fields
requested.
Integer
0 = Bid
Must be the first field in this repeating 1 = Offer
group. This is a list of all the types of 4 = Opening
Market Data Entries that the firm
5 =Closing
requesting the Market Data is
Note: a request for Bid or
interested in receiving.
Offer will always result in
both being subscribed to.
Integer
Number of symbols (instruments)
requested.
String
Valid board in format
Note: if only the TradingSessionId is
CCC/NEX Exchange-exn
specified then all instrument prices
CCC/NEX Exchange-exl
on that board will be provided in
CCC/NEX Exchange-ofn
which case NoRelatedSym should be
CCC/NEX Exchange-ofl
set to 1
…
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 26
Tag
Name
Req
Data Type
Desc
Supported Values
�
55
Symbol
Not validated as NEX Exchange uses
[N/A]
ISIN to identify the security
�
48
SecurityID
String
The ISIN of the security being
referenced
�
22
SecurityIDSource
String
This field must always be set to the
4 = ISIN
IDSource for ISIN ("4")
Data Type
Desc
Y
StandardTrailer
4.3.2.2.
Tag
MarketDataRequestReject
Name
Req
StandardHeader
Y
262
MDReqID
Y
281
MDReqRejReason
MsgType = Y
String
The ID of previous Market Data
Request
String
Reason for rejection
Y
StandardTrailer
4.3.2.3.
Supported Values
MarketDataRequestSnapshotFullRefresh
Note: One MarketDataRequestSnapshot message is sent for each security on each board.
Tag
Name
Req
StandardHeader
Y
262
Y
MDReqID
Symbol
55
48
22
336
268
Data Type
Desc
Supported Values
MsgType = W
String
Y
ID of previous Market Data Request
Will always be set to "[N/A]"
[N/A]
SecurityID
Y
String
The ISIN of the security being
referenced
SecurityIDSource
Y
String
This field must always be set to the
4 = ISIN
IDSource for ISIN ("4")
TradingSessionID
Y
String
NoMDEntries
Y
Integer
Valid board in format
CCC/NEX Exchange-exn
CCC/NEX Exchange-exl
CCC/NEX Exchange-ofn
CCC/NEX Exchange-ofl
…
Number of entries following.
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 27
� 269
MDEntryType
Y
Integer
Type Market Data entry
� 270
MDEntryPx
Y
Price
Price of the Market Data Entry.
� 271
MDEntrySize
N
Qty
If MDEntryType = Bid(0) or Offer(1)
� 282
MDEntryOriginator
N
Tag
CompID of Market Maker
Y
StandardTrailer
4.3.2.4.
0 = Bid
1 = Offer
4 = Opening
5 =Closing
MarketDataIncrementalRefresh
Name
Req
Data Type
Desc
Supported Values
StandardHeader
Y
262
MDReqID
Y
String
ID of previous Market Data
Request
NoMDEntries
Y
Integer
Number of entries following.
Char
Must be first field in this repeating 0 = New
group.
2 = Delete
268
�
279 MDUpdateAction
�
269 MDEntryType
Y
MsgType = X
Integer
Type Market Data entry
Price
Price of the Market Data Entry.
Qty
If MDEntryType = Bid(0) or
Offer(1)
If MDEntryType = Bid(0) or
Offer(1)
Will always be set to "[N/A]"
�
270 MDEntryPx
�
271 MDEntrySize
N
�
282 MDEntryOriginator
N
�
55
Symbol
Y
�
48
SecurityID
Y
String
The ISIN of the security being
referenced
�
22
SecurityIDSource
Y
String
This field must always be set to
the IDSource for ISIN ("4")
�
336 TradingSessionID
StandardTrailer
Y
String
0 = Bid
1 = Offer
4 = Opening
5 =Closing
[N/A]
4 = ISIN
Valid board in format
CCC/NEX Exchange-exn
CCC/NEX Exchange-exl
CCC/NEX Exchange-ofn
CCC/NEX Exchange-ofl
…
Y
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 28
4.3.3.
Trade Report Feed
The Trade Report Feed messages allow participants to receive real-time updates on Trade Reports. Participants must request
subscription to Trade Report Feed messages.
Trade reports fed to subscribers who did not originate the trade report are anonymised.
4.3.3.1.
Trade Capture Report Request
The following message should be used to subscribe/unsubscribe to NEX Exchange trade reports.
Tag
Name
Req
Data Type
StandardHeader
Y
568
TradeRequestID
Y
String
569
TradeRequestType
Y
Int
263
SubscriptionRequestTyp
e
Char
58
Text
String
StandardTrailer
Desc
Supported Values
MsgType = AD
Identifier for the trade request
0 = All Trades
Used to subscribe / unsubscribe for trade
capture reports.
1 = Snapshot +
Updates
2 = Unsubscribe
Y
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 29
4.3.3.2.
Trade Capture Report Request Acknowledgement
The following message is sent back as an acknowledgement to the TradeCaptureReportRequest.
Tag
Name
Req
Data Type
StandardHeader
Y
568
TradeRequestID
Y
String
569
TradeRequestType
Y
int
263
SubscriptionRequestTyp
e
749
TradeRequestResult
750
TradeRequestStatus
58
Text
StandardTrailer
Desc
Supported Values
MsgType = AQ
Identifier for the trade request
0 = All Trades
char
Used to subscribe / unsubscribe for trade
capture reports If the field is absent, the
value 1 will be the default
1 = Snapshot +
Updates
Y
int
Result of Trade Request
0 = Successful
99 = Other
Y
int
Status of Trade Request
0 = Accepted
2 = Rejected
String
Description of error message
Y
The TradeCaptureRequestAcknowledgement message indicates the acceptance or rejection of the
TradeCaptureReportRequest.
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 30
4.3.3.3.
Trade Capture Report – Outbound message for subscription
NEX Exchange will send the followingTradeCaptureReport outbound message after a successful
TradeCaptureReportAcknowledgement has been sent.
Tag
Name
StandardHeader
Req
Data Type
Y
Supported Values
MsgType = AE
TradeReportID
818
SecondaryTradeReportI
D
String
881
Secondary
TradeReportRefID
String
When amending/cancelling a trade report it
is the NEX Exchange-generated identifier
for the trade being amended.
487
TradeReportTransType Y
Int
Identifies Trade Report message
transaction type
0 = New
1 = Cancel
2 = Replace
TradeRequestID
The TradeRequestID from the original
TradeCaptureReportRequest
Only populated if
being sent to
originating Market
Maker
TrdType
Int
Type of trade. Refer to the TrdType and
TrdSubType mapping in section 4.1.
Absence of trade type and TrdSubType
defaults to a Z Trade
15 = B
Further qualification to the trade type Refer
18 = M
to the TrdType and TrdSubType mapping in
22 = P
section 4.1. Absence of trade
26 = R
type and TrdSubType defaults to a Z Trade
37 = X
828
String
Populated with NEX
Exchange ID (818) if
receiving party is not
Transaction Reference from the submitted
part of submitters
inbound trade capture report
Participant group. For
cancels a C will be
appended to original
trades NEX Exchange
The NEX Exchange trade number that was ID to avoid duplicates.
Not present on
generated from the submitted inbound
cancels
trade capture report
571
568
Y
Desc
829
TrdSubType
Int
5997
NoTradePriceCondition
s
NumInGroup
�
5998 TradePriceCondition
Int
Indicates the conditions under which the
bargain was struck
0 = Regular Trade (O)
22 = Privately
Negotiated Trade (N)
38 = Large in scale (L)
0 = CD
1 = CR
2 = XD
3 = XR
4 = CC
5 = CP
6 = XC
7 = XP
8 = CS
9 = CB
10 = SP
11 = XB
12 = GD
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 31
Tag
Name
1134
Data Type
Desc
ReportedPxDiff
Boolean
If there is a reported price difference and
Trade Type(828) and Trade Sub Type(829)
are not provided, then set trade
Conditions="D"
55
Symbol
String
Will always be set to "[N/A]"
48
SecurityID
Y
String
The ISIN of the security being referenced
22
SecurityIDSource
Y
String
This field must always be set to the
IDSource for ISIN ("4")
32
LastQty
Y
Qty
The number of securities agreed to be
traded
31
LastPx
Y
Price
The price at which the trade was agreed in
the currency specified in the board (336)
75
TradeDate
Y
LocalMktDate
60
TransactTime
Y
UTCTimestamp
Date and Time of when the transaction
represented by this Trade Capture Report
occurred
64
SettlDate
Y
LocalMktDate
The date on which the trade is agreed to
settle.
58
Text
552
NoSides
Req
Supported Values
[N/A]
4 = ISIN
Only populated if
being sent to
originating Market
Maker
String
Used to pass the trade source name
Y
NumInGroup
Number of Side repeating group instances 1 = One Side
�
54
Side
Y
char
Whether this trade was a buy or sell (with 1 = Buy
respect to the reporting member).
2 = Sell
�
37
OrderID
Y
String
Will be set to {N/A]
�
453
NoPartyIDs
Y
NumInGroup
Number of PartyID (448), PartyIDSource
(447), and PartyRole (452) entries
� 448
PartyID
Y
String
Only populated if
Used to identify source of PartyID. Required
being sent to
if PartyIDSource is specified. Required if
originating Market
NoPartyIDs > 0
Maker else [N/A]
� 447
PartyIDSource
Y
char
Used to identify class source of PartyID
value (e.g. BIC). Required if PartyID is
specified.
Int
1 = Executing Firm 12
= Executing Trader
Identifies the type of PartyID (e.g. Executing 17 = Contra Firm
73 = Executing Venue
Broker). Required if NoPartyIDs > 0
44 = Order Entry
Operator ID
� 452
PartyRole
Y
[N/A]
B = BIC G = MIC
D = Prop Code
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 32
Tag
�
336
Name
Req
Data Type
Desc
TradingSessionID
Y
String
The identifier of the board to which the
trade report is being submitted.
779
LastUpdateTime
UTCTimestamp
381
GrossTradeAmt
Amt
20309
TradePublishTime
TZTimestamp
Supported Values
CCC/NEX Exchangeexn CCC/NEX
Exchange-exl CCC/NEX
Exchange-ofn
CCC/NEX
Exchange-ofl
Only populated
if
Timestamp of last update to data item (or being sent to
creation if no updates made since creation)
originating Market
Maker
Total amount traded (e.g. CumQty (4) *
AvgPx (6)) expressed in units of currency
Only populated if
being sent to
originating Market
Maker
20310
TradePublishStatus
Int
1 = Not matched 2 =
No delay
Informs us whether market information is 3 = Delayed
to be released, held, etc, or whether it has 4 = Sent
already been released to the market place 5 = Released
6 = Lapsed
20321
LateCancelIndicator
Boolean
Indicates if trade was cancelled after five
days
20332
TradeReportTime
UTCTimestamp
The time at which this trade was received
by NEX Exchange trading engine
StandardTrailer
Y = If trade was
cancelled in the last 5
days
N
Y
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 33
NEX Exchange throttles incoming message rates on a per Participant basis these limits are defined by NEX
Exchange and take into account factors such as Market Maker obligations and reasonably expected incoming
message rates.
Throttle rates are per second and the default is 30 messages p/s. If a client breaches this limit they will receive a business
level reject with the text ‘Throttle limit exceeded’ for every message sent in over the limit until the next second is reached
and the counter reset.
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 34
The following detail will be provided via the FIX News message:
News Type
Valid Types
First FIX Text field(58)
Message detail
Second FIX Text
field(58)
Market State
Available Pre-Open Open
Pre-Close Close Suspended
Free format text – “Market State
only used to
Change”
describe the reason
if the market is
suspended.
Suspend/
Restore
(Security)
Suspension of Trading Restoration Free format text
of Trading
Suspend/
Restore
(Participa nt)
Market
Message
Headline FIX
Headline
field(148)
Comment
Item that a Market
Data vendor should
Publish?
A message is published at
each of the points during
the day where the market
state changes (see
Appendix B).
Free format text ISIN is specified in security PUBLISH
fields
If applicable to NEX
Exchange Growth
Market and NEX
Exchange Main Board
only
PUBLISH
Suspension of Trading Restoration firmcode (found in firmname (found
web- firm.csv)
in web- firm.csv)
If applicable to NEX
of Trading
Exchange Growth
Market and NEX
Exchange Main Board
only
Admission of Security to Trading Free format text
Admission to Corporate Advisor
Membership Admission to Broker
Dealer Membership New NEX
Exchange Members Resignation
of
NEX ExchangeMembers
General
Free format text If applicable to a security
then NEX Exchange
Growth Market and NEX
Exchange Main Board
issuers only
Company Event Final Results Interim Results
Annual General Meeting
Free format text
Free format text NEX Exchange Growth
Market and NEX Exchange
Main Board issuers only
Corporate
Actions
Dividend Entitlement Issue
Capitalisation Issue
Sub/Consol/Reorg
Free format text
Free format text NEX Exchange Growth
Market and NEX Exchange
Main Board issuers only
X Marker
CR - Cum Rights CD - Cum
Dividend
Empty
X Marker
PUBLISH
If applicable to NEX
Exchange Growth
Market and NEX
Exchange Main Board
only Others can go to
general news area
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 35
News Type
Valid Types
First FIX Text field(58)
Message detail
Second FIX Text
field(58)
Headline FIX
Headline
field(148)
Empty
Bid Marker
Comment
Item that a Market
Data vendor should
Publish?
CL - Cum Liquidation Distribution
CO - Cum Entitlement/Open Offer
CB - Cum Capitalisation/Bonus CS
- Cum Stock
Distribution
CP - Cum Repayment of Capital.
CI - Cum Interest
XR - Ex-Rights XD - Ex-Dividend
XL - Ex-Liquidation Distribution
XO - Ex-Entitlement/Open Offer
XB - ExCapitalisation/Bonus
XS - Ex-Stock Distribution XP - ExRepayment of Capital.
XI - Ex-Interest
Bid Marker
BM – Bid Marker
BO – Bid Marker has been
removed
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 36
Trade Reporting
Start Time
Price Quoting
Period Name
Available - Reference Data available 05:00
on website
Description
Publication of NEX Exchange Reference Data to data vendors and
participants.
Platform available for connection only.
Pre-Open
07:15
Y
Y
The first period during which market makers may report trades
and optionally post indicative quotations.
Open
08:00
Y
Y
At 08:00 the platform will transmit opening prices.
The platform will also transmit any qualifying trades deferred
(from band 3 of Table 3 – see the Trading Guidance page on the
website) if agreed after 14:30 of yesterday.
Mandatory quote period: The period during which market makers
are obliged to display firm two-way prices for securities in which
they are registered in accordance with the trading rules.
Market makers may report trades.
Pre-Close
16:30
Y
Y
At 16:30 the platform will:
- transmit a market state change message
- transmit closing prices.
- cancel any open quotes
Optionally
submitted.
further
indicative
quotes
may
be
Market makers may continue to report trades
Close
17:15
At 17:15 the platform will transmit any qualifying deferred trades
(from bands 1, 2, 3 [if agreed before 14:30], 4, 5 or 6 (see the
Trading Guidance page on the website).
No further Trades or Quotes can be submitted.
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 37
The following table describes the format of the static data files available on the website at www.NEX Exchange.com.
Note: the format of these has been maintained from past platforms and so not all codes are currently used but are still
provided.
Type
File Name
Field
Boards
web_board.csv
1.
board
Code for the board (used in TradingSessionID FIX field
336)
2.
boardname
Descriptor of ON or OFF exchange
3.
boardname
Name of board
1.
id
3 letter currency code
2.
name
Currency description
1.
compid
Code used by participant to establish FIX connection (all
test compids start with T-)
2.
firm
Unique ID for firm that owns these compids
3.
firmcode
Code for firm that owns these compids
1.
firm
Unique ID for firm
2.
firmcode
Code for firm
3.
firmname
Name of participant
4.
firmshortname
NEX Exchange internal code
5.
firmtype
MKMK identifies Market Makers ISSR identifies Issuer
6.
firmclass
Name of firm type
7.
firmstatus
Not used
8.
isvisible
Not used
9.
domicilecountry
2 letter country code
1.
instr
Code of instrument
2.
instrname
Name of instrument
3.
secclass
Equity Debt Forex Index
4.
contractsize
Always 1
Currency
Firm CompIDs
Participants
Instruments
web_currency.csv
web_firm_compids
web_firm.csv
web_instr.csv
Description
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 38
Type
File Name
Field
5.
Tick Sizes
true/false (t/f)
7.
numofsettlementd ays
No of settlement days
8.
negdealbreakclau se
Not used
web_mmobligation.csv 1.
PLUSticksizesFNL.csv
Web_secboard.csv
EQTY identifies Equity market
FINC identifies Fixed Income market
isclearinghousecle ared
Secboard level Tick web_PLUSticksizesFN
Sizes
L_secboard.csv
Secboards
market
6.
9.
Market maker
Registrations
Description
finalpaymentoffset Not used
seccode
Code for security
2.
board
Code for the board
3.
mmgroup
Market Maker group
4.
firmcode
Code for firm
5.
firm
Unique ID for firm
6.
status
Not used
1.
board
Code for the board
lower_band(1-6)
Start point for band
tick_size(1-6)
Tick size for that band
1.
board
Code for the board
2.
isin
isin
3.
lower_band(1-6)
Start point for band
4.
tick_size(1-6)
Tick size for that band
5.
seccode
Code for security
6.
board
Code for the board
7.
secname
Name of security
8.
secshortname
NEX Exchange internal code
9.
issuercode
Issuer Firm code
10. issuer
Issuer Firm unique ID
11. listingtype
PLPR identifies NEX Exchange Growth Market PLPL
identifies NEX Exchange Main Board PLPM identifies NEX
Exchange Fixed Income PLSL identifies NEX Exchange
Secondary Market
PLSU identifies NEX Exchange Secondary Market (AIM)
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 39
Type
Securities
File Name
web_sec.csv
Field
Description
12.
sector
NEX Exchange internal code
13.
market
Code for market
14.
secclass
Code for instrument class
15.
instr
Code for instrument
16.
currency
Currency code
17.
isin
ISIN security identifier
18.
istradeable
Valid for trading
19.
pricedecimals
Maximum number of decimals in prices
20.
secboardstate
Not used - A indicates active
21.
inheritedstate
A indicates active
W indicates withdrawn S indicates suspended
22.
quotebases
Not used at present
23.
largeinscale
Used for determining deferred publication
24.
averagedailyturno
ver
Average daily turnover (CESR)
25.
exchangemarketsi
ze
Used to validate minimum size
26.
closepriceyesterd ay Shows close price for yesterday
27.
volumeyesterday
28.
standardmarketsiz e Standard Market Size (CESR)
29.
low52week
52 week low
30.
high52week
52 week high
1.
seccode
Code for security
2.
name
Name of security
3.
shortname
NEX Exchange internal code
4.
mainboard
Main board
Shows volume for yesterday
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 40
Type
File Name
Field
Description
5.
instr
Instrument type
6.
isin
ISIN security code
7.
origincountry
2 letter country code
8.
currency
3 letter currency code
9.
quotebases
Not used at present
10.
issuedqty
Populated for NEX Exchange companies
NEX Exchange Limited is a Recognised Investment Exchange in the UK and a NEX Group business. NEX Exchange Limited is registered in England and Wales
(Co. No. 04309969) with its registered office at 2 Broadgate, London EC2M 7UR.
PAGE 41
© 2017 NEX EXCHANGE, A NEX GROUP COMPANY.